Python - FamaMacBeth, cannot astype a datetimelike from [datetime64[ns]] to [float64]

Question

When trying to run a FamaMacBeth regression on my dataset, I get the TypeError:

cannot astype a datetimelike from [datetime64[ns]] to [float64],

My date column is of type numpy.ndarray

Anyone know what I am doing wrong?

Answer 1

This is a known issue:

The problem is that we don't support the datetime64[s] type on pandas objects, even though it's a valid type for NumPy arrays.

A possible workaround is converting directly to float, as in the comment on this question:

Pandas DataFrame - 'cannot astype a datetimelike from [datetime64[ns]] to [float64]' when using ols/linear regression